SSRN NYU: Finance Working Papers (Topic)

1.

Understanding the Subprime Mortgage Crisis

Number of pages: 40 Posted: 10 Oct 2007 Last Revised: 20 Jun 2009

Working Paper Series

Yuliya S. Demyanyk and Otto Van Hemert

Federal Reserve Banks - Federal Reserve Bank of Cleveland and Man AHL

Downloads 42,887

2.

Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly

NYU Working Paper No. 2451/29593

Number of pages: 26 Posted: 06 Apr 2010 Last Revised: 10 Sep 2013

Working Paper Series

Malcolm P. Baker, Brendan Bradley and Jeffrey Wurgler

Harvard Business School, Acadian Asset Management Inc., USA and NYU Stern School of Business

There are 3 versions of this paper

Downloads 3,717

3.

Dealing with Operating Leases in Valuation

NYU Working Paper No. FIN-99-023

Number of pages: 25 Posted: 07 Nov 2008

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 2,712

4.

Valuing Credit Default Swaps I: No Counterparty Default Risk

NYU Working Paper No. FIN-00-021

Number of pages: 35 Posted: 04 Nov 2008

Working Paper Series

John C. Hull and Alan White

University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Downloads 2,698

5.

Research and Development Expenses: Implications for Profitability Measurement and Valuation

NYU Working Paper No. FIN-99-024

Number of pages: 25 Posted: 07 Nov 2008

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 2,459

6.

A Reference Point Theory of Mergers and Acquisitions

AFA 2010 Atlanta Meetings Paper

Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 23 Nov 2009

Working Paper Series

Malcolm P. Baker, Xin Pan and Jeffrey Wurgler

Harvard Business School, Harvard University and NYU Stern School of Business

There are 3 versions of this paper

Downloads 2,432

7.

Valuing Credit Default Swaps Ii: Modeling Default Correlations

NYU Working Paper No. FIN-00-022

Number of pages: 26 Posted: 04 Nov 2008

Working Paper Series

John C. Hull and Alan White

University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Downloads 2,087

8.

GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics

NYU Working Paper No. FIN-01-030

Number of pages: 25 Posted: 03 Nov 2008

Working Paper Series

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics

Downloads 2,061

9.

The Persistence of Risk-Adjusted Mutual Fund Performance

NYU Working Paper No. FIN-95-018

Number of pages: 42 Posted: 11 Nov 2008

Working Paper Series

Edwin J. Elton, Martin J. Gruber and Christopher R. Blake

New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Gabelli School of Business, Fordham University

There are 3 versions of this paper

Downloads 2,057

10.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

NYU Working Paper No. FIN-00-041

Number of pages: 50 Posted: 04 Nov 2008

Working Paper Series

Yakov Amihud

New York University - Stern School of Business

There are 2 versions of this paper

Downloads 1,875

11.

The Dark Side of Valuation: Firms with No Earnings, No History and No Comparables

NYU Working Paper No. FIN-99-022

Number of pages: 54 Posted: 07 Nov 2008

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 1,872

12.

Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management

NYU Working Paper No. FIN-99-062

Number of pages: 16 Posted: 11 Nov 2008

Working Paper Series

Anil Bangia, Francis X. Diebold, Til Schuermann and John Stroughair

Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.

Downloads 1,642

13.

Labor Unemployment Risk and Corporate Financing Decisions

Journal of Financial Economics (JFE), Forthcoming, NYU Working Paper No. FIN-10-010

Number of pages: 58 Posted: 29 Aug 2010 Last Revised: 18 Feb 2013

Accepted Paper Series

Ashwini K. Agrawal and David A. Matsa

London School of Economics & Political Science (LSE) and Northwestern University - Kellogg School of Management

Downloads 1,497

14.

The Wealth-Consumption Ratio

Review of Asset Pricing Studies, Forthcoming, NYU Working Paper No. FIN-08-045, AFA 2008 New Orleans Meetings Paper , EFA 2007 Ljubljana Meetings Paper

Number of pages: 110 Posted: 09 Mar 2009 Last Revised: 31 Mar 2013

Accepted Paper Series

Hanno N. Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan

Stanford Graduate School of Business, New York University Stern School of Business, Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 4 versions of this paper

Downloads 1,289

15.

Do Ceos Matter?

NYU Working Paper No. FIN-06-032

Number of pages: 35 Posted: 03 Nov 2008

Working Paper Series

Morten Bennedsen, Francisco Perez-Gonzalez and Daniel Wolfenzon

INSEAD - Economics and Political Sciences, National Bureau of Economic Research (NBER) and Columbia Business School - Finance and Economics

Downloads 1,284

16.

Universal Banking and the Future of Small Business Lending

NYU Working Paper No. FIN-95-009

Number of pages: 66 Posted: 11 Nov 2008

Working Paper Series

Allen N. Berger and Gregory F. Udell

University of South Carolina - Darla Moore School of Business and Indiana University - Kelley School of Business - Department of Finance

Downloads 1,178

17.

Financial Distress and Restructuring Models

NYU Working Paper No. FIN-94-024

Number of pages: 42 Posted: 11 Nov 2008

Working Paper Series

Yehning Chen, J. Fred Weston and Edward I. Altman

National Taiwan University, University of California, Los Angeles (UCLA) - Finance Area and New York University (NYU) - Salomon Center

Downloads 1,175

18.

Corporate Governance and Board Effectiveness

NYU Working Paper No. FIN-98-045

Number of pages: 60 Posted: 11 Nov 2008

Working Paper Series

Kose John and Lemma W. Senbet

New York University (NYU) - Department of Finance and University of Maryland - Robert H. Smith School of Business

Downloads 1,129

19.

The Efficient Markets Hypothesis: The Demise of the Demon of Chance?

NYU Stern School of Business FIN-09-28

Number of pages: 30 Posted: 26 Nov 2009 Last Revised: 04 Feb 2010

Working Paper Series

Stephen J. Brown

New York University - Stern School of Business

Downloads 1,122

20.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper

Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015

Working Paper Series

Robert F. Engle and Bryan T. Kelly

New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Booth School of Business

Downloads 1,057

21.

Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the Libor Market Model

NYU Working Paper No. FIN-00-023

Number of pages: 40 Posted: 04 Nov 2008

Working Paper Series

John C. Hull and Alan White

University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Downloads 1,015

22.

Smokescreen: How Managers Behave When They Have Something to Hide

NYU Working Paper No. FIN-13-002, University of St.Gallen, School of Finance Research Paper No. 2013/9

Number of pages: 62 Posted: 10 Mar 2013 Last Revised: 10 Nov 2015

Working Paper Series

Tanja Artiga González, Markus M. Schmid and David Yermack

VU University Amsterdam, University of St. Gallen - Swiss Institute of Banking and Finance and New York University (NYU) - Stern School of Business

Downloads 985

23.

Liquidity Effect in OTC Options Markets: Premium or Discount?

Journal of Financial Markets, Forthcoming

Number of pages: 49 Posted: 05 Dec 2005 Last Revised: 20 Aug 2010

Working Paper Series

Prachi Deuskar, Anurag Gupta and Marti G. Subrahmanyam

Indian School of Business, Case Western Reserve University - Department of Banking & Finance and New York University - Stern School of Business

Downloads 856

24.

A Rational Theory of Mutual Funds' Attention Allocation

NYU Working Paper No. 2451/28347

Number of pages: 53 Posted: 26 Jun 2013 Last Revised: 29 Oct 2015

Working Paper Series

Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp

Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business

Downloads 853

25.

Corporate Governance and Value Creation: Evidence from Private Equity

NYU Working Paper No. 2451/27878

Number of pages: 61 Posted: 09 Mar 2009 Last Revised: 10 Sep 2013

Working Paper Series

Viral V. Acharya, Oliver Gottschalg, Moritz Hahn and Conor Kehoe

New York University - Leonard N. Stern School of Business, HEC Paris - Strategy & Business Policy, Ludwig Maximilian University of Munich and McKinsey & Company, Inc.

There are 3 versions of this paper

Downloads 849

26.

Forecasting Volatility Using Historical Data

NYU Working Paper No. FIN-94-032

Number of pages: 48 Posted: 11 Nov 2008

Working Paper Series

Stephen Figlewski

New York University - Stern School of Business

There are 2 versions of this paper

Downloads 846

27.

Behavioral Corporate Finance: A Survey

NYU Working Paper No. FIN-04-024

Number of pages: 62 Posted: 03 Nov 2008

Working Paper Series

Malcolm P. Baker, Richard S. Ruback and Jeffrey Wurgler

Harvard Business School, Harvard Business School and NYU Stern School of Business

There are 3 versions of this paper

Downloads 839

28.

Technical Trading, Predictability and Learning in Currency Markets

NYU Working Paper No. 2451/31452

Number of pages: 45 Posted: 28 Jan 2012 Last Revised: 10 Sep 2013

Working Paper Series

Valerio Potì, Richard M. Levich and Pierpaolo Pattitoni

University College Dublin, New York University - Stern School of Business and University of Bologna - Department of Management

Downloads 796

29.

Value Creation and Enhancement: Back to the Future

NYU Working Paper No. FIN-99-018

Number of pages: 72 Posted: 07 Nov 2008

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 789

30.

Capital Structure Decisions in Small and Large Firms: A Life-Cycle Theory of Financing

NYU Working Paper No. FIN-99-069

Number of pages: 47 Posted: 11 Nov 2008

Working Paper Series

Zsuzsanna Fluck

Michigan State University - Department of Finance

There are 2 versions of this paper

Downloads 786

31.

Financing Innovations and Capital Structure Choices

NYU Working Paper No. FIN-99-020

Number of pages: 16 Posted: 07 Nov 2008

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 741

32.

Modeling Market Microstructure Time Series

NYU Working Paper No. FIN-95-024

Number of pages: 76 Posted: 11 Nov 2008

Working Paper Series

Joel Hasbrouck

New York University (NYU) - Department of Finance

Downloads 735

33.

Investor Reactions to CEOs’ Inside Debt Incentives

NYU Working Paper No. FIN-09-020

Number of pages: 51 Posted: 08 Dec 2009 Last Revised: 15 Feb 2011

Working Paper Series

Chenyang (Jason) Wei and David Yermack

Federal Reserve Banks - Federal Reserve Bank of Philadelphia and New York University (NYU) - Stern School of Business

There are 3 versions of this paper

Downloads 723

34.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming

Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013

Accepted Paper Series

Riccardo Colacito, Robert F. Engle and Eric Ghysels

University of North Carolina Kenan-Flagler Business School, New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School

Downloads 710

35.

New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index

NYU Working Paper No. FIN-95-028

Number of pages: 46 Posted: 11 Nov 2008

Working Paper Series

Anthony W. Lynch and Richard R. Mendenhall

New York University (NYU) - Department of Finance and University of Notre Dame - Department of Finance

Downloads 707

36.

The Market for Volatility Trading; Vix Futures

NYU Working Paper No. FIN-07-003

Number of pages: 30 Posted: 03 Nov 2008

Working Paper Series

Menachem Brenner, Jinghong Shu and Jin E. Zhang

New York University (NYU) - Department of Finance, affiliation not provided to SSRN and University of Otago, Otago Business School, Department of Accountancy and Finance

Downloads 696

37.

The Cross-Section and Time-Series of Stock and Bond Returns

NYU Working Paper No. 2451/31423

Number of pages: 64 Posted: 13 Jan 2012 Last Revised: 16 Dec 2014

Working Paper Series

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

There are 4 versions of this paper

Downloads 690

38.

Estimating the Implied Risk Neutral Density

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAY IN HONOR OF ROBERT F. ENGLE, Tim Bolloerslev, Jeffrey R. Russell, Mark Watson, Oxford, UK: Oxford University Press, 2008, NYU Working Paper No. FIN-08-004

Number of pages: 44 Posted: 09 Mar 2009

Accepted Paper Series

Stephen Figlewski

New York University - Stern School of Business

Downloads 684

39.

Skin or Skim? Inside Investment and Hedge Fund Performance

NYU Working Paper No. 2451/38717

Number of pages: 62 Posted: 08 Jun 2017

Working Paper Series

Arpit Gupta and Kunal Sachdeva

NYU Stern School of Business and Columbia Business School

There are 2 versions of this paper

Downloads 684

40.

The General Hull-White Model and Super Calibration

NYU Working Paper No. FIN-00-024

Number of pages: 20 Posted: 04 Nov 2008

Working Paper Series

John C. Hull and Alan White

University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Downloads 660

41.

The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market

Journal of Finance, Forthcoming, NYU Working Paper No. FIN-08-008

Number of pages: 46 Posted: 09 Mar 2009 Last Revised: 05 Sep 2011

Accepted Paper Series

Philipp Schnabl

New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 659

42.

Individual Investor Sentiment and Stock Returns

NYU Working Paper No. FIN-04-023

Number of pages: 45 Posted: 03 Nov 2008

Working Paper Series

Ron Kaniel, Gideon Saar and Sheridan Titman

University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance

There are 3 versions of this paper

Downloads 656

43.

Mutual Fund's R^2 as Predictor of Performance

Forthcoming, Review of Financial Studies

Number of pages: 49 Posted: 09 Mar 2009 Last Revised: 10 Nov 2012

Accepted Paper Series

Yakov Amihud and Ruslan Goyenko

New York University - Stern School of Business and McGill University - Desautels Faculty of Management

Downloads 648

44.

Revisiting Credit Scoring Models in a Basel 2 Environment

NYU Working Paper No. FIN-02-041

Number of pages: 37 Posted: 03 Nov 2008

Working Paper Series

Edward I. Altman

New York University (NYU) - Salomon Center

There are 3 versions of this paper

Downloads 642

45.

Program Trading and Stock Index Arbitrage

NYU Working Paper No. FIN-94-023

Number of pages: 48 Posted: 11 Nov 2008

Working Paper Series

Linda Canina and Stephen Figlewski

Cornell University - School of Hotel Administration and New York University - Stern School of Business

Downloads 629

46.

Liquidity Risk and Competition in Banking

NYU Working Paper No. FIN-07-053

Number of pages: 16 Posted: 03 Nov 2008

Working Paper Series

Yoram Landskroner and Jacob Paroush

Hebrew University of Jerusalem - Department of Finance and Banking and Bar-Ilan University - Department of Economics

Downloads 627

47.

Investor Sentiment in the Stock Market

NYU Working Paper No. 2451/31359, NYU Working Paper No. FIN-11-026

Number of pages: 23 Posted: 15 Dec 2011

Working Paper Series

Malcolm P. Baker and Jeffrey Wurgler

Harvard Business School and NYU Stern School of Business

There are 4 versions of this paper

Downloads 622

48.

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009

Number of pages: 39 Posted: 09 Mar 2009

Working Paper Series

Robert F. Engle, Neil Shephard and Kevin Sheppard

New York University - Leonard N. Stern School of Business - Department of Economics, Harvard University and University of Oxford - Department of Economics

Downloads 591

49.

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

NYU Working Paper No. FIN-07-032

Number of pages: 21 Posted: 13 Nov 2008

Working Paper Series

Stephen J. Brown, Thomas L. Fraser and Bing Liang

New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance

There are 2 versions of this paper

Downloads 568

50.

Survival

NYU Working Paper No. FIN-94-021

Number of pages: 35 Posted: 11 Nov 2008

Working Paper Series

Stephen J. Brown, William N. Goetzmann and Stephen A. Ross

New York University - Stern School of Business, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 564

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